There are more Nebula double-winners than Hugo, relatively speaking, considering that Nebulas go only to fiction works. Roger Zelazny did it the first year of the Nebulas. Only Connie Willis has done it twice.

Kelly Link, 2006 novella : Magic for Beginners
novelette : The Faery Handbag
Connie Willis, 1993 short story : Even the Queen
novel : Doomsday BookPat Murphy, 1988 novelette : Rachel in Love
novel : The Falling WomanGreg Bear, 1984 novelette : Blood Music
novella : Hardfought
Connie Willis, 1983 short story : A Letter from the Clearys
novelette : Fire Watch
Ursula K. Le Guin, 1975 novel : The Dispossessed short story : The Day Before the Revolution
Robert Silverberg, 1972 short story : Good News from the Vatican
novel : A Time of ChangesSamuel R. Delany, 1968 short story : Aye, and Gomorrah…
novel : The Einstein IntersectionRoger Zelazny, 1966 novella : He Who Shapes
novelette : The Doors of His Face, the Lamps of His Mouth